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International liquidity shocks and the European sovereign debt crisis : was euro area unconventional monetary policy successful?
Everett, Mary M. - 2015
Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross-border funding, and (ii) a contraction in US wholesale...
Persistent link: https://www.econbiz.de/10011374059
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2018
Persistent link: https://www.econbiz.de/10011946887
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Financial fragility, sovereign default risk and the limits to commercial bank bail-outs
Wijnbergen, Sweder van; Kwaak, Christiaan van der - 2013
We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank … intermediaries causes bond prices to drop triggering capital losses at the bank under intervention. This mechanism shows the limits …
Persistent link: https://www.econbiz.de/10010224776
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Financial fragility, sovereign default risk and the limits to commercial bank bail-outs
Kwaak, Christiaan van der; Wijnbergen, Sweder van - In: Journal of economic dynamics & control 43 (2014), pp. 218-240
Persistent link: https://www.econbiz.de/10010470116
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Private overborrowing under sovereign risk
Arce, Fernando - 2022
This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed with risky public debt. This response may cause...
Persistent link: https://www.econbiz.de/10013194400
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Global banks and systemic debt crises
Morelli, Juan M.; Ottonello, Pablo; Perez, Diego J. - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 2, pp. 749-798
Persistent link: https://www.econbiz.de/10013190099
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Sovereign haircuts : 200 years of creditor losses
Luckner, Clemens von <Graf>; Meyer, Josefin; Reinhart, … - 2024
We study sovereign external debt crises over the past 200 years, with a focus on creditor losses, or "haircuts". Our sample covers 327 sovereign debt restructurings with external private creditors over 205 default spells since 1815. Creditor losses vary widely (from none to 100%), but the...
Persistent link: https://www.econbiz.de/10014557831
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Sovereign debt and bank fragility in Spain
Kwaak, Christiaan van der; Wijnbergen, Sweder van - In: Review of world economics 153 (2017) 3, pp. 511-543
Persistent link: https://www.econbiz.de/10011889361
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have … an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived … exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector …
Persistent link: https://www.econbiz.de/10011436025